Create threaded drill bit from cone
I'll show you how to model it as a one mesh with a clean topology.


Start with enabling the Extra Objects add on. Then add a Spiral (Add-->Curve-->Spirals). Play with its settings in a Tool Shelf (T). 


Convert your curve to the mesh (press Alt+C-->Mesh from Curve). Fill the gaps with the F key (enable F2 add on).


Add the edge loop (Ctrl+R) as pictured below.


Use knife (K) to cut away the very top of the cone. Make the topology as pitured below.


Add a loopcut between the other two. Snap the cursor to selection (Shift+S-->Cursor to Selected), and scale it evenly with Alt+S.


You may now finish modeling and add the edge creases (Shift+R) or create a topology like the one pictured below to make the edge loops  for creasing work.


Add final two edge loops to crease the blade even more. Enable Subsurf Modifier and smooth the faces. You may also cut the bottom of the drill with the knife to make its base flat.